Confidence intervals for quantiles using generalized lambda distributions
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Asquith, William H., 2007. "L-moments and TL-moments of the generalized lambda distribution," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4484-4496, May.
- Alan Hutson, 1999. "Calculating nonparametric confidence intervals for quantiles using fractional order statistics," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(3), pages 343-353.
- Su, Steve, 2007. "Fitting Single and Mixture of Generalized Lambda Distributions to Data via Discretized and Maximum Likelihood Methods: GLDEX in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i09).
- Karvanen, Juha & Nuutinen, Arto, 2008. "Characterizing the generalized lambda distribution by L-moments," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1971-1983, January.
- Su, Steve, 2007. "Numerical maximum log likelihood estimation for generalized lambda distributions," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3983-3998, May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Steve Su, 2016. "Flexible modelling of survival curves for censored data," Journal of Statistical Distributions and Applications, Springer, vol. 3(1), pages 1-20, December.
- Hund, Lauren & Schroeder, Benjamin & Rumsey, Kellin & Huerta, Gabriel, 2018. "Distinguishing between model- and data-driven inferences for high reliability statistical predictions," Reliability Engineering and System Safety, Elsevier, vol. 180(C), pages 201-210.
- de Peretti, Christian & Siani, Carole, 2010. "Graphical methods for investigating the finite-sample properties of confidence regions," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 262-271, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chalabi, Yohan / Y. & Scott, David J & Wuertz, Diethelm, 2012. "An asymmetry-steepness parameterization of the generalized lambda distribution," MPRA Paper 37814, University Library of Munich, Germany.
- Majid Ahmadabadi & Yaghub Farjami & Mohammad Bameni Moghadam, 2012. "A process control method based on five-parameter generalized lambda distribution," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1097-1111, June.
- Steve Su, 2016. "Flexible modelling of survival curves for censored data," Journal of Statistical Distributions and Applications, Springer, vol. 3(1), pages 1-20, December.
- Karvanen, Juha & Nuutinen, Arto, 2008. "Characterizing the generalized lambda distribution by L-moments," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1971-1983, January.
- Steve Su, 2018. "The Danger of Doing Power Calculations Using Only Descriptive Statistics," Biostatistics and Biometrics Open Access Journal, Juniper Publishers Inc., vol. 5(4), pages 113-114, March.
- Yuzhi Cai, 2021. "Estimating expected shortfall using a quantile function model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4332-4360, July.
- Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
- Asquith, William H., 2014. "Parameter estimation for the 4-parameter Asymmetric Exponential Power distribution by the method of L-moments using R," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 955-970.
- Christopher Busch & Alexander Ludwig, 2024.
"Higher‐Order Income Risk Over The Business Cycle,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(3), pages 1105-1131, August.
- Ludwig, Alexander & Busch, Christopher, 2020. "Higher-Order Income Risk over the Business Cycle," CEPR Discussion Papers 14538, C.E.P.R. Discussion Papers.
- Busch, Christopher & Ludwig, Alexander, 2021. "Higher-order income risk over the business cycle," ICIR Working Paper Series 36/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Busch, Christopher & Ludwig, Alexander, 2020. "Higher-order income risk over the business cycle," ZEW Discussion Papers 20-022, ZEW - Leibniz Centre for European Economic Research.
- Christopher Busch & Alexander Ludwig, 2020. "Higher-Order Income Risk over the Business Cycle," Working Papers 1159, Barcelona School of Economics.
- Christopher Busch & Alexander Ludwig, 2020. "Higher-Order Income Risk over the Business Cycle," Working Papers 2020-019, Human Capital and Economic Opportunity Working Group.
- Busch, Christopher & Ludwig, Alexander, 2020. "Higher-order income risk over the business cycle," SAFE Working Paper Series 274, Leibniz Institute for Financial Research SAFE.
- Mohamad Najib Ibrahim, 2022. "Assessment of the Uncertainty Associated with Statistical Modeling of Precipitation Extremes for Hydrologic Engineering Applications in Amman, Jordan," Sustainability, MDPI, vol. 14(24), pages 1-20, December.
- Kaplan, David M., 2015.
"Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion,"
Journal of Econometrics, Elsevier, vol. 185(1), pages 20-32.
- David M. Kaplan, 2013. "Improved Quantile Inference Via Fixed-Smoothing Asymptotics And Edgeworth Expansion," Working Papers 1313, Department of Economics, University of Missouri.
- Jones, M. C., 2002. "On fractional uniform order statistics," Statistics & Probability Letters, Elsevier, vol. 58(1), pages 93-96, May.
- Matt Goldman & David M. Kaplan, 2018.
"Non‐parametric inference on (conditional) quantile differences and interquantile ranges, using L‐statistics,"
Econometrics Journal, Royal Economic Society, vol. 21(2), pages 136-169, June.
- David M. Kaplan & Matt Goldman, 2015. "Nonparametric inference on conditional quantile differences and linear combinations, using L-statistics," Working Papers 1503, Department of Economics, University of Missouri.
- David M. Kaplan & Matt Goldman, 2016. "Nonparametric inference on conditional quantile differences and linear combinations, using L-statistics," Working Papers 1620, Department of Economics, University of Missouri.
- Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020.
"A cost-benefit analysis of capital requirements adjusted for model risk,"
Journal of Corporate Finance, Elsevier, vol. 65(C).
- Walter Farkas & Fulvia Fringuellotti & Radu Tunaru, 2020. "A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk," Swiss Finance Institute Research Paper Series 20-86, Swiss Finance Institute.
- Hasebe, Takuya & Vijverberg, Wim P., 2012. "A Flexible Sample Selection Model: A GTL-Copula Approach," IZA Discussion Papers 7003, Institute of Labor Economics (IZA).
- Peterson Owusu Junior & Imhotep Alagidede & George Tweneboah, 2020. "Shape-shift contagion in emerging markets equities: evidence from frequency- and time-domain analysis," Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 146-156.
- David M. Kaplan & Lonnie Hofmann, 2019.
"High-order coverage of smoothed Bayesian bootstrap intervals for population quantiles,"
Working Papers
1914, Department of Economics, University of Missouri, revised 19 Sep 2020.
- David M. Kaplan & Lonnie Hofmann, 2020. "High-order coverage of smoothed Bayesian bootstrap intervals for population quantiles," Working Papers 2012, Department of Economics, University of Missouri.
- Luke A. Prendergast & Robert G. Staudte, 2017. "When large n is not enough – Distribution-free interval estimators for ratios of quantiles," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 15(3), pages 277-293, September.
- Goldman, Matt & Kaplan, David M., 2017.
"Fractional order statistic approximation for nonparametric conditional quantile inference,"
Journal of Econometrics, Elsevier, vol. 196(2), pages 331-346.
- David M. Kaplan & Matt Goldman, 2015. "Fractional order statistic approximation for nonparametric conditional quantile inference," Working Papers 1502, Department of Economics, University of Missouri.
- Matt Goldman & David M. Kaplan, 2016. "Fractional order statistic approximation for nonparametric conditional quantile inference," Papers 1609.09035, arXiv.org.
- Maria E. Frey & Hans C. Petersen & Oke Gerke, 2020. "Nonparametric Limits of Agreement for Small to Moderate Sample Sizes: A Simulation Study," Stats, MDPI, vol. 3(3), pages 1-13, August.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:53:y:2009:i:9:p:3324-3333. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.